Code
My publicly available code is distributed through GitHub. You can also find some of my tutorials on my blog, Vincent Codes Finance.
Select Projects
MeatPy
Market Empirical Analysis Toolbox for Python. The goal of this project is to provide a standard framework for processing and analysing high-frequency limit order book data.
Price Revelation from Insider Trading: Evidence from Hacked Earnings News
Code from the paper Price Revelation from Insider Trading: Evidence from Hacked Earnings News, Journal of Financial Economics, Volume 143, Issue 3, 2022.
How is Earnings News Transmitted to Stock Prices?
Code from the paper How is Earnings News Transmitted to Stock Prices? Journal of Accounting Research, Volume 60, Issue 1, 2022.
daflip
CLI tool to convert data files between different formats (SAS, CSV, Excel, JSON, Parquet, etc.)
Quarto Comments
An extension that adds collaboration-friendly annotations to Quarto documents.
unbiasedness
A Python module to estimate unbiasedness regressions in Python.